EBA Dashboard - European Banking Authority

Transcription

RISK DASHBOARD
DATA AS OF Q3 2015
2
Contents
1
Summary
3
2
Overview of the main risks and vulnerabilities in the EU banking sector
4
3
Heatmap
5
4
Risk Indicators (RIs)
4.1
4.2
4.3
4.4
5
Solvency
Credit Risk and Asset Quality
Profitability
Balance Sheet Structure
and Liquidity
Annex 1: Statistical Annex
Tier 1 capital ratio
6
Total capital ratio
7
CET1 ratio
8
CET1 ratio (fully loaded)
9
Ratio of non‐performing loans and advances (NPL ratio)
10
Coverage ratio for non‐performing loans and advances
11
Forbearance ratio for loans
12
Ratio of non‐performing exposures (NPE ratio)
13
Return on equity
14
Return on assets
15
Cost to income ratio
16
Net interest income to total operating income
17
Net fee and commission income to total operating income
18
Net trading income to total operating income
19
Net interest income to interest bearing assets
20
Loan‐to‐deposit ratio (for households and non‐financial corporations)
21
Liquid assets to short‐term liabilities
22
Liquid assets to total items requiring stable funding
23
Debt to equity ratio
24
Asset encumbrance ratio
25
Asset composition and volumes
26
Liability composition and volumes
27
Risk‐weighted asset composition and break‐down of asset quality data
28
Profitability analysis
29
6
Annex 2: Methodological note on the RIs heatmap
30
7
Annex 3: The RI and Annex database
31
3
Summary *
EU banks' capital ratios further increased in Q3 2015. The CET1 ratio was 13.0%, 10bps higher than in Q2 2015.
The country dispersion remained wide, however there was no country with a CET1 ratio below 10%. The CET1
ratio was lower for large banks (12.6% in Q3 2015). However, investors are looking also at the total capital ratio
structure.
The quality of banks’ loan portfolios further improved in Q3 2015, but remains a concern. The ratio of non‐
performing loans (NPL) was 5.9%, 10bps below Q2 2015. The NPL ratio was lower for large banks (4.0%) and
significantly higher for small institutions (21.7%). Also, with a range between 1% and 50% the country dispersion
remained significant.
The coverage ratio for NPLs was unchanged at 43.6% in Q3 2015 (compared to the former quarter). Both
numerator and denominator further decreased in the third quarter. The dispersion was wide among countries
(between 30% and nearly 70%) and less significant among different size classes of banks (between 39% and
45%).
Profitability is still low. The average RoE ‐ showing the common seasonal decline during the second half of the
year ‐ decreased to 6.4% in Q3 2015, 40bps below Q2 data. Small banks RoE was 6.4% in Q3 2015, whereas large
banks RoE stood at 7.3%. In contrast, small banks' return on assets (RoA) was higher (0.58%) than large banks'
RoA (0.42%) and the overall average (0.38%, 0.17% for medium‐sized banks). The cost to income ratio stopped
its decline in the third quarter, and increased again to 59.8% (59.2% in the former quarter). The dispersion
among banks of different size classes has narrowed for this indicator.
The net interest margin (net interest income to interest bearing assets) remained stable at 1.6% in Q3 2015
compared to last quarter. It was still higher for small banks (1.9%) and hardly showed any dispersion among
large and medium‐sized banks (in a range between 1.5% to 1.6%). Net interest income increased its share in
total operating income in Q3 2015 compared to the former quarter (56.3% vs. 54.8%), whereas the shares of net
income from fees and commissions and of the net trading result in total operating income were nearly
unchanged (26.3% in Q3 2015 vs. 26.1% in Q2 2015 and 6.0% vs. 6.1% respectively).
The loan‐to‐deposit ratio decreased to 123.3%. It was 1.6 percentage points below Q2 2015 and lower for small
banks (105.2%). This emphasizes the importance of deposit funding for small banks. The ratio was higher for mid‐
sized institutions (141.6%). As in previous quarters, leverage was lower for small banks with a debt to equity
ratio of about 10, vs. 13 for mid‐sized banks and 16 for large banks. The ratio of liquid assets to short‐term
liabilities further increased (20.7%, compared to 19.7% in Q2 2015). The asset encumbrance ratio was 26.6% in
Q3 2015 (25.7% in the former quarter) and showed a wide dispersion among countries (about 1% to nearly
50%). It is influenced by the funding mix (secured vs. unsecured funding, including deposits) as well as the level
of central bank funding.
*) This risk dashboard is based on a sample of Risk Indicators (KRI) from 194 European banks (unconsolidated number of banks, including 39 subsidiaries; the list of the banks can be found under the link http://www.eba.europa.eu/risk‐analysis‐and‐data). This edition is based on Q3 2015 data. Underlying data in this risk dashboard has been compiled by the EBA since 2014 and it has served as basis for additional analyses included in EBA's Risk Assessment Report, last version published in December 2015. Ratios provided in the text are weighted average if not otherwise stated. The name of the country is only disclosed if the number of reporting institutions is at least three. The data is based on the EBA’s implementing technical standards (ITS) on supervisory reporting (EU Regulation No 680/2014 and it subsequent amendments).
4
Overview of the main risks and vulnerabilities in the EU banking sector
Level of risk
Bank risk
Risk drivers
Last quarter (memo)
Current quarter
Expected Level
Level
Trend
Asset quality, emerging markets, China, commodity markets
Pillar 1
Credit risk Risk from negative changes in market sentiment and market liquidity
Market risk
Information & communication technologies, cyber attacks
Concentration risk, IRRBB and other
Real estate markets, sovereign exposures, EM country exposures at some banks
Reputational and legal
Misconduct, litigation costs
Profitability
Interest margins, impact of deteriorating asset quality, conduct cost
Access to funding and maturity distribution
Volatile spreads, need to issue BRRD / MREL compliant instruments
Funding structure
Reliance on secured funding
Regulatory and legal environment MREL, structural reforms
Fragmentation
Funding, asset quality, profitability, supervision
Sovereign risk
Debt overhang
Environment
Liquidity & Funding
Pillar 2
Capital
Operational risk
Level
Trend
‐1
0
1
High
Medium
Low
Increasing
Stable
Decreasing
‐1
‐1
0
0
‐1
0
‐1
‐1
0
0
‐1
0
‐1
‐1
0
0
0
0
‐1
‐1
‐1
‐1
Contributing factors/interactions
Forward Trend
NPL ratios remain on elevated levels compared to their long‐term history and
geographical comparatives, although declining over the year. Further NPL sales
and other measures for NPL resolution will be needed to improve asset quality. Credit risk remains heightened for some parts of the EU and for exposures in
emerging market and commodities. An improvement in asset quality strongly
depends on further economic recovery. However, economic prospects are
fragil, owing e.g. to developments in China and other EM economies.
Changes in market sentiment and market liquidity could lead to further price
volatilities in all asset classes. Heightened volatility of asset valuations, interest
and exchange rates is expected, also due to potential additional and diverging
monetary policy actions around the globe.
Information and communication technologies remain a key operational risk.
This includes cyber attacks, which are increasing in scope and sophistication. A
further growing level of outsourcing and cost cutting measures adds to
increasing operational risks.
The increase in real estate based lending and loans to small and mid‐sized
enterprises (SMEs) further aggravates the vulnerabilities in these loan
exposures. Increasing real estate lending aggravates risk of price bubbles in
some real estate markets. Also concentration in sovereign exposures as well as
in the exposures towards certain countries (e.g. towards Brazil or China)
remains high at some single names.
The scope of identified misconduct practices remains wide and misconduct
costs high. Recent and further potential drivers for litigation risks are related to FX, investments in sovereign bonds and mis‐selling of subordinated debt
instruments to retail investors.
Profitability remains weak, driven by further declining net interest margins not
compensated by income from fees and commissions. Profitability is also
negatively influenced by growing competition from shadow banking
institutions and Fintechs. Banks' profitability suffers from low quality of assets
in several jurisdictions and from conduct cost at several banks, too.
Amid volatile funding spreads, no major constraints could be observed for the
issuance activity for secured and unsecured instruments. Recently, yields in the AT1 and T2 markets have widened significantly. There has been a bias towards
short term maturities of senior unsecured instruments as banks are waiting for
further clarifications around MREL before issuing long term instruments. This
increases risks from maturity mismatches.
There has been less supply of senior unsecured than secured instruments
recently, not at least due to lower yields on the latter. Uncertainties about
TLAC and MREL are affecting issuance of subordinated debt instruments, and
to a lesser extent senior unsecured bonds.
As before, it is expected that the impact of regulatory reforms, including those
on harmonisation of risk weights, will be muted. On MREL further clarification
will be needed in many countries before banks will be able to issue complying
instruments. Structural refoms remain a key concern in some jurisdictions as
they are the basis for NPL transactions.
Fragmentation among jurisdictions of asset quality, profitability and funding
structure, and also supervision, remains high.
Risk of debt restructuring and challenges from a large debt overhang in some
countries remain high. Significant sovereign exposure leads to elevated
vulnerabilities of some banks.
The level of risk summarises, in a judgmental fashion, the probability of the materialisation of the risk factors and the likely impact on banks. The assessment takes into consideration the evolution of market and prudential indicators, National Supervisory Authorities' and banks’ own assessments as well as analysts’ views.
5
RIs heatmap
Traffic light
RI
Solvency
Credit Risk & Asset Quality
CET1 ratio
Ratio of non‐performing loans and advances (NPL ratio)
Coverage ratio of non‐
performing loans and advances
Profitability
Current vs previous quarters for the 201412
worst bucket
154
154
154
201503 201506 201509
22.5%
15.2%
18.0%
28.6%
[12% ‐ 15%] 47.7%
57.1%
63.1%
52.0%
< 12%
29.8%
27.7%
18.9%
19.4%
> 14%
20.4%
12.8%
20.7%
14.2%
[11% ‐ 14%] 38.9%
49.4%
65.6%
72.9%
< 11%
40.7%
37.7%
13.7%
12.9%
< 3%
37.9%
40.3%
41.7%
41.9%
[3% ‐ 8%] 45.6%
49.4%
49.3%
49.2%
> 8%
16.5%
10.2%
9.0%
8.9%
> 55%
9.5%
10.1%
10.2%
11.1%
[40% ‐ 55%] 53.0%
52.8%
55.7%
53.6%
< 40%
37.5%
37.1%
34.1%
35.3%
< 1.5%
31.1%
30.9%
38.9%
39.8%
40.2%
42.0%
32.9%
32.3%
>4%
28.7%
27.1%
28.2%
27.9%
> 10%
5.4%
22.4%
27.2%
25.4%
[6% ‐ 10%] 32.4%
31.3%
46.1%
35.5%
< 6%
62.2%
46.3%
26.8%
39.1%
< 50%
12.2%
12.5%
13.7%
14.5%
[50% ‐ 60%] 12.0%
32.6%
34.0%
36.3%
> 60%
75.8%
54.9%
52.3%
49.3%
< 100%
30.1%
30.9%
29.2%
31.2%
55.9%
55.6%
56.9%
55.2%
> 150%
14.0%
13.6%
13.9%
13.6%
> 30%
4.5%
3.3%
3.2%
2.9%
37.3%
50.4%
38.3%
53.2%
< 20%
58.3%
46.3%
58.5%
43.9%
< 12x
8.3%
7.8%
5.0%
8.5%
[12x ‐ 15x] 27.6%
34.3%
43.2%
39.3%
> 15x
64.2%
57.8%
51.8%
52.2%
Loan‐to‐deposit ratio for households and non‐
[100% ‐ 150%] financial corporations
Liquid assets to short‐term [20% ‐ 30%] liabilities
152
> 15%
Forbearance ratio for loans [1.5% ‐ 4%] and advances
Return on equity
Balance Sheet Structure
Threshold
Sample of banks*
Note: Traffic lights provide the trend of the KRI given the historical time series. Data bar colour scale: green for the "best bucket", yellow for the intermediate and red for the "worst bucket".
* Number of banks after consolidation. Furthermore, not all banks submit respective data for all Risk Indicators.
6
Solvency
1 ‐ Tier 1 capital ratio
Dispersion
Numerator and denominator: trends
40%
110
108
35%
106
30%
104
25%
102
20%
100
15%
98
96
10%
94
5%
Numerator
92
Denominator
5th and 95th pct, interquartile range and median.
Total numerator and denominator.
Dec 2014 =100.
Country dispersion (as of Sep. 2015)
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
90
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
40%
16%
EU
35%
15%
30%
14%
25%
20%
13%
15%
12%
10%
11%
5%
Small
0%
Medium
All banks
Large
10%
EE LT LV FI SE IE BG DK HR SI CZ BE NL LU CY DE GB PL RO NO SK FR MT HU IT ES GR AT PT
Dec ‐ 14
( * ) Not reported.
Weighted Averages by country.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Weighted average. Banks are classified in the size class according to the their average total assets between Dec. 2014 and Sep. 2015. Non‐FINREP banks are assigned to the bucket of small banks.
Period
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
13.5%
13.4%
13.9%
14.2%
11.7%
11.6%
12.0%
12.1%
13.5%
13.6%
14.0%
14.1%
16.3%
16.3%
17.1%
17.8%
7
Solvency
2 ‐ Total capital ratio
Dispersion
45%
110
40%
108
35%
106
104
30%
102
25%
100
20%
98
15%
96
10%
94
5%
Numerator
92
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
90
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
40%
20%
EU
35%
19%
18%
30%
17%
25%
16%
20%
15%
14%
15%
13%
10%
12%
5%
11%
Small
0%
Medium
All banks
Large
10%
EE LV LT SE FI IE DK NL HR BG GB BE SI SK CZ DE HU RO LU NO FR MT CY AT PL IT ES PT GR
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Period
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
16.2%
16.1%
16.7%
17.1%
13.8%
13.7%
14.3%
14.4%
16.4%
15.9%
16.7%
16.8%
19.3%
19.5%
20.3%
21.7%
8
Solvency
3 ‐ CET1 ratio
Dispersion
35%
110
108
30%
106
25%
104
102
20%
100
15%
98
10%
96
94
5%
Numerator
92
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
90
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
40%
16%
EU
35%
15%
30%
14%
25%
20%
13%
15%
12%
10%
11%
5%
Small
0%
Medium
All banks
Large
10%
EE LT LV FI SE HR IE SI CZ BG DK BE LU CY PL RO DE SK NL MT HU NO GB FR ES IT GR AT PT
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Period
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
12.5%
12.4%
12.9%
13.0%
11.2%
11.4%
11.6%
11.8%
12.8%
13.0%
13.1%
13.4%
15.5%
15.2%
15.9%
17.2%
9
Solvency
4 ‐ CET1 ratio (fully loaded)
Dispersion
35%
110
108
30%
106
25%
104
102
20%
100
15%
98
10%
96
94
5%
Numerator
92
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
90
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
40%
16%
EU
35%
Small
Medium
All banks
Large
15%
30%
14%
25%
20%
13%
15%
12%
10%
11%
5%
0%
10%
EE LT LV FI SI HR SE CZ BG LU DK RO CY PL MT SK NO NL HU DE GB FR IE BE IT AT ES PT GR
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Period
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
11.5%
11.7%
12.1%
12.3%
10.6%
10.6%
10.6%
11.1%
12.2%
12.3%
12.4%
12.8%
15.0%
15.2%
15.2%
16.1%
10
5 ‐ Ratio of non‐performing loans and advances (NPL ratio)
Dispersion
40%
108
35%
106
104
30%
102
25%
100
20%
98
15%
96
10%
94
5%
Numerator
92
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
90
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
60%
30%
EU
50%
25%
40%
20%
30%
15%
20%
10%
10%
5%
0%
0%
Small
CY GR IE PT IT RO HU HR BG AT PL ES LT LV SK FR BE DK CZ DE NL GB LU FI NO SE
Dec ‐ 14
( * ) Not reported.
Medium
Mar ‐ 15
All banks
Large
Jun ‐ 15
Sep ‐ 15
Weighted average. Banks are classified in the size class according to the their average total assets between Dec. 2014 and Sep. 2015. Period
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
6.4%
6.2%
6.0%
5.9%
2.3%
2.3%
2.4%
2.3%
5.8%
6.0%
6.0%
5.5%
16.0%
15.8%
15.0%
14.9%
11
6 ‐ Coverage ratio of non‐performing loans and advances
Dispersion
102
70%
101
60%
100
50%
99
40%
98
30%
97
96
20%
95
10%
Numerator
94
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
93
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
70%
46%
EU
60%
44%
50%
42%
40%
40%
38%
30%
36%
20%
34%
10%
32%
Small
0%
Medium
All banks
Large
30%
RO CZ PL HU SK HR BG AT FR GR ES IT NO BE LU IE PT NL DE CY LV DK FI LT GB SE
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
43.2%
42.9%
43.6%
43.6%
31.3%
30.9%
32.1%
32.3%
40.7%
40.7%
40.8%
41.5%
47.3%
46.8%
47.3%
47.7%
12
7 ‐ Forbearance ratio for loans and advances
Dispersion
108
25%
106
20%
104
15%
102
100
10%
98
5%
96
Numerator
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
94
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
30%
12%
EU
25%
10%
20%
8%
15%
6%
10%
4%
5%
2%
0%
0%
Small
CY GR IE PT ES RO BG HU HR LV IT LT AT PL DE NL DK GB BE SK FI FR NO CZ SE LU
Dec ‐ 14
( * ) Not reported.
Medium
Mar ‐ 15
All banks
Large
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
3.9%
3.8%
3.7%
3.6%
1.4%
1.4%
1.3%
1.3%
3.4%
3.4%
3.5%
3.2%
8.9%
9.3%
8.7%
8.8%
13
8 ‐ Ratio of non‐performing exposures (NPE ratio)
Dispersion
108
35%
106
30%
104
25%
102
20%
100
15%
98
96
10%
94
5%
Numerator
92
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
90
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
50%
20%
45%
EU
18%
40%
16%
35%
14%
30%
12%
25%
10%
20%
8%
15%
6%
10%
4%
5%
2%
0%
0%
Small
CY GR IE PT IT HU RO HR BG AT PL ES LT LV FR SK DK BE DE CZ NL GB FI NO LU SE
Dec ‐ 14
( * ) Not reported.
Medium
Mar ‐ 15
All banks
Large
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
5.5%
5.3%
5.1%
5.0%
2.2%
2.0%
2.0%
1.8%
4.7%
4.6%
4.8%
4.9%
12.7%
12.5%
12.4%
12.4%
14
Profitability
9 ‐ Return on equity
Dispersion
250
30%
20%
200
10%
150
0%
‐10%
100
‐20%
50
‐30%
Numerator
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
‐
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
‐40%
40%
12%
EU
30%
10%
20%
8%
6%
10%
4%
0%
2%
‐10%
0%
‐20%
‐2%
Small
‐30%
Medium
All banks
Large
‐4%
RO BG CZ NO PL LV SE FI NL SK DK IE BE ES FR LU LT AT GB HU IT PT DE HR CY GR
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
3.5%
6.9%
6.8%
6.4%
‐2.8%
3.3%
3.5%
3.5%
4.0%
7.1%
7.2%
6.8%
8.2%
11.8%
10.7%
10.4%
15
Profitability
10 ‐ Return on assets
Dispersion
2%
250
2%
1%
200
1%
0%
150
‐1%
‐1%
100
‐2%
‐2%
50
Numerator
‐3%
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
‐
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
‐3%
4.0%
1.0%
EU
3.0%
0.8%
2.0%
0.6%
1.0%
0.4%
0.0%
0.2%
‐1.0%
‐2.0%
0.0%
‐3.0%
‐0.2%
Small
RO BG LV PL CZ LT SK NO IE ES SE LU HU NL BE AT FI DK FR GB IT PT DE HR CY GR
Dec ‐ 14
( * ) Not reported.
Medium
Mar ‐ 15
All banks
Large
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
0.20%
0.40%
0.41%
0.38%
‐0.11%
0.22%
0.21%
0.20%
0.25%
0.43%
0.45%
0.39%
0.53%
0.72%
0.72%
0.66%
16
Profitability
11 ‐ Cost to income ratio
Dispersion
120%
112
110
100%
108
80%
106
104
60%
102
40%
100
98
20%
Numerator
96
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
94
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
80%
65%
EU
70%
60%
60%
50%
55%
40%
50%
30%
20%
45%
10%
Small
0%
Medium
All banks
Large
40%
DE HU FR IT AT PT GB BE LU IE GR NL DK RO LT PL ES SK SE HR CZ FI CY LV BG NO
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
62.8%
60.8%
59.2%
59.8%
45.4%
45.0%
46.3%
46.9%
57.9%
56.5%
55.8%
57.2%
67.6%
65.7%
65.2%
66.1%
17
Profitability
12 ‐ Net interest income to total operating income
Dispersion
120%
112
110
100%
108
80%
106
104
60%
102
40%
100
98
20%
Numerator
96
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
94
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
90%
65%
EU
80%
70%
60%
60%
55%
50%
40%
50%
30%
20%
45%
10%
Small
0%
Medium
All banks
Large
40%
GR CY HU IE SK DK NL NO BG HR CZ AT BE ES PL RO SE GB LT LV PT IT FR DE LU FI
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
58.8%
55.5%
54.8%
56.3%
50.0%
43.3%
45.9%
48.2%
62.6%
59.1%
59.0%
60.5%
75.5%
74.9%
72.7%
77.6%
18
Profitability
13 ‐ Net fee and commission income to total operating income
Dispersion
45%
112
40%
110
35%
108
30%
106
25%
104
20%
102
15%
100
10%
98
5%
Numerator
96
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
94
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
40%
29%
EU
35%
27%
30%
25%
25%
20%
23%
15%
21%
10%
19%
5%
17%
0%
15%
Small
HU IT LV LT LU FR DE SE PT PL AT HR SK RO BE GB CZ DK ES BG FI NL CY IE GR NO
Dec ‐ 14
( * ) Not reported.
Medium
Mar ‐ 15
All banks
Large
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
27.1%
26.4%
26.1%
26.3%
13.2%
13.6%
13.5%
13.3%
22.8%
22.4%
21.5%
21.4%
29.5%
30.3%
30.4%
30.8%
19
Profitability
14 ‐ Net trading income to total operating income
Dispersion
130
50%
40%
120
30%
110
20%
100
10%
0%
90
‐10%
80
‐20%
70
‐30%
Numerator
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
60
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
‐40%
20%
12%
EU
10%
15%
8%
6%
10%
4%
5%
2%
0%
0%
‐2%
‐4%
‐5%
‐6%
Small
‐10%
Medium
All banks
Large
‐8%
SE FR NO LV LT GB DE CZ FI RO BE BG NL SK IE PT AT HU IT GR CY HR DK LU ES PL
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
6.9%
7.9%
6.1%
6.0%
‐0.5%
‐1.1%
‐1.7%
‐1.5%
1.2%
1.3%
1.5%
1.5%
5.7%
10.0%
5.5%
4.9%
20
Profitability
15 ‐ Net interest income to interest bearing assets
Dispersion
104
4%
3%
103
3%
102
2%
101
2%
100
1%
1%
99
Numerator
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
98
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
5.0%
2.1%
4.5%
EU
2.0%
4.0%
1.9%
3.5%
1.8%
3.0%
1.7%
2.5%
1.6%
2.0%
1.5%
1.5%
1.0%
1.4%
0.5%
1.3%
0.0%
1.2%
Small
HU BG RO CY HR PL GR CZ ES SK AT LV IE GB IT NO NL PT LT BE FR DE DK SE LU FI
Dec ‐ 14
( * ) Not reported.
Medium
Mar ‐ 15
All banks
Large
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
1.5%
1.5%
1.6%
1.6%
1.1%
1.0%
1.0%
1.0%
1.5%
1.5%
1.5%
1.5%
1.8%
1.9%
1.8%
1.9%
21
Balance Sheet Structure and Liquidity
16 ‐ Loan‐to‐deposit ratio for households and non‐financial corporations
Dispersion
1300%
104
800%
103
300%
102
250%
200%
101
150%
100
100%
99
50%
Numerator
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
98
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
400%
150%
EU
350%
140%
300%
130%
250%
120%
200%
110%
150%
100%
100%
50%
90%
0%
80%
Small
DK SE NO FI DE IT GR NL IE ES FR BE AT LT CY PL PT GB SK LU HU CZ BG HR RO LV
Dec ‐ 14
( * ) Not reported.
Medium
Mar ‐ 15
All banks
Large
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
124.4%
125.3%
124.9%
123.3%
98.7%
99.7%
100.1%
98.0%
121.2%
123.6%
121.2%
120.6%
187.2%
189.5%
182.6%
187.0%
22
17 ‐ Liquid assets to short‐term liabilities
Dispersion
70%
114
112
60%
110
50%
108
106
40%
104
30%
102
20%
100
98
10%
Numerator
96
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
94
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
50%
22%
45%
EU
21%
40%
35%
20%
30%
19%
25%
18%
20%
15%
17%
10%
16%
5%
Small
0%
Medium
All banks
Large
15%
RO LV BG NO HU SK FI SE HR DE AT DK GB BE LU IE IT NL ES CY LT FR PL PT GR CZ*
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
19.4%
19.8%
19.7%
20.7%
14.8%
13.3%
14.2%
15.3%
20.2%
20.1%
20.0%
21.0%
28.4%
27.1%
28.6%
28.8%
23
18 ‐ Liquid assets to total items requiring stable funding
Dispersion
50%
114
45%
112
40%
110
35%
108
30%
106
25%
104
20%
102
15%
100
10%
98
Numerator
5%
96
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
94
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
100%
13.0%
90%
EU
80%
12.0%
70%
60%
50%
11.0%
40%
30%
10.0%
20%
10%
Small
0%
Medium
All banks
Large
9.0%
SK RO LV BG HU LU FI GB NL HR BE CY DE NO AT SE IT IE FR ES PT LT PL DK GR CZ*
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
11.1%
11.4%
11.4%
11.8%
7.3%
6.9%
7.3%
7.7%
10.0%
9.8%
9.8%
10.1%
15.2%
14.0%
14.2%
14.4%
24
19 ‐ Debt to equity ratio
Dispersion
3500%
110
3000%
108
106
2500%
104
2000%
102
1500%
100
1000%
98
500%
Numerator
96
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
94
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
2500%
1800%
EU
1700%
2000%
1600%
1500%
1500%
1400%
1300%
1000%
1200%
1100%
500%
1000%
900%
Small
0%
Medium
All banks
Large
800%
DE FI SE NL DK BE FR GB NO AT IT ES PT LU GR SK IE CZ HU CY RO HR BG PL LT LV
Dec ‐ 14
( * ) Not reported.
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
16.04
16.44
15.57
15.42
11.38
11.39
11.65
11.36
14.64
14.11
14.16
13.94
19.48
19.91
19.54
18.74
25
20 ‐ Asset encumbrance ratio
Dispersion
125
70%
120
60%
115
50%
110
40%
105
30%
100
95
20%
90
10%
Numerator
85
Denominator
Dec 2014 =100.
KRI by size class
Sep ‐
15
Mar ‐
15
Dec ‐
14
Jun ‐ 15
80
Sep ‐ 15
Jun ‐ 15
Mar ‐ 15
Dec ‐ 14
0%
60%
32%
EU
50%
30%
40%
28%
30%
26%
20%
24%
10%
22%
0%
20%
Small
GR DK DE ES IE IT BE SE GB CY FR PT FI NO NL SK AT CZ LU HU HR PL LV MT BG SI LT RO EE
Dec ‐ 14
( * ) Not reported.
Medium
Mar ‐ 15
All banks
Large
Jun ‐ 15
Sep ‐ 15
Period
Weighted average
25th
50th
75th
Dec ‐ 14
Mar ‐ 15
Jun ‐ 15
Sep ‐ 15
25.0%
26.7%
25.7%
26.6%
11.9%
12.8%
13.1%
12.5%
23.7%
24.7%
24.7%
24.5%
36.8%
37.5%
35.2%
35.6%
STATISTICAL ANNEX
27
Statistical Annex
Asset composition and volumes
Asset composition
% of total assets
Cash balances
Equity instruments
Debt securities
Loans and advances
Derivatives
Other Assets
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
AT
1.1%
0.9%
1.0%
1.0%
0.8%
0.9%
0.8%
0.8%
16.8%
16.9%
17.0%
16.7%
72.5%
72.5%
73.2%
73.7%
4.5%
4.7%
3.7%
3.6%
4.3%
4.2%
4.3%
4.2%
BE
0.2%
0.2%
0.2%
0.2%
0.7%
0.7%
0.7%
0.7%
23.8%
22.1%
22.6%
22.4%
58.2%
59.2%
61.6%
61.8%
8.8%
9.3%
7.5%
7.4%
8.3%
8.6%
7.3%
7.5%
BG
2.4%
1.5%
1.6%
1.6%
0.1%
0.1%
0.1%
0.1%
7.8%
10.1%
10.3%
10.2%
85.1%
83.5%
83.2%
83.7%
0.4%
0.5%
0.5%
0.4%
4.2%
4.3%
Sep‐15
4.4%
4.0%
CY
0.7%
0.6%
0.7%
0.6%
0.1%
0.1%
0.1%
0.1%
12.0%
8.7%
7.3%
7.7%
79.6%
83.0%
84.5%
85.7%
0.2%
0.2%
0.1%
0.1%
7.3%
7.5%
7.3%
5.8%
CZ
1.4%
1.2%
1.3%
1.3%
0.1%
0.2%
0.2%
0.2%
23.8%
23.4%
23.1%
22.1%
68.8%
69.2%
70.5%
71.5%
3.7%
3.9%
2.8%
3.0%
2.3%
2.2%
2.1%
1.9%
2.8%
16.6%
15.8%
16.4%
16.6%
54.8%
53.2%
56.9%
56.9%
21.8%
23.5%
18.7%
19.3%
4.0%
4.4%
4.6%
4.3%
DK
DE
0.2%
0.2%
0.2%
0.2%
0.4%
0.6%
0.6%
0.5%
17.1%
15.1%
15.1%
14.5%
70.2%
70.5%
73.6%
74.0%
9.5%
11.0%
8.0%
8.1%
2.5%
2.6%
2.5%
2.6%
ES
0.6%
0.1%
0.5%
0.1%
0.5%
0.1%
0.5%
0.1%
1.3%
2.8%
1.3%
3.1%
1.4%
3.3%
1.2%
16.9%
16.6%
16.6%
16.2%
66.2%
66.3%
67.3%
67.5%
5.7%
6.3%
5.0%
5.5%
9.2%
9.1%
9.3%
9.1%
FI
0.0%
0.0%
0.0%
0.0%
0.5%
0.5%
0.5%
0.4%
11.8%
11.0%
11.5%
10.5%
58.8%
56.4%
63.6%
63.6%
24.4%
26.5%
19.5%
20.2%
4.4%
5.5%
4.9%
5.2%
FR
0.2%
0.2%
0.2%
0.2%
3.3%
4.0%
3.9%
3.3%
12.9%
12.8%
12.8%
12.6%
60.3%
58.7%
61.8%
62.3%
15.2%
16.1%
13.3%
13.5%
GB
0.2%
0.2%
0.2%
0.2%
2.4%
2.6%
2.5%
2.1%
13.3%
12.8%
13.5%
13.8%
58.4%
57.7%
60.6%
59.5%
20.9%
22.1%
17.9%
19.3%
4.8%
4.7%
5.3%
5.2%
GR
0.9%
0.7%
1.0%
0.8%
0.2%
0.2%
0.2%
0.2%
17.4%
17.5%
17.7%
17.9%
68.0%
67.6%
66.4%
65.7%
2.8%
3.3%
2.6%
2.9%
10.8%
8.1%
10.7%
8.2%
12.1%
7.9%
12.6%
8.1%
HR
1.7%
1.6%
2.0%
2.0%
0.3%
0.3%
0.3%
0.3%
10.9%
11.1%
11.1%
9.8%
83.7%
83.1%
82.5%
83.8%
0.5%
1.1%
0.9%
0.8%
3.0%
2.9%
3.2%
3.3%
HU
1.7%
1.4%
1.5%
1.6%
0.7%
0.7%
0.8%
0.7%
15.8%
16.7%
19.0%
21.1%
74.5%
73.7%
71.5%
69.7%
2.0%
2.4%
2.1%
1.9%
5.3%
5.1%
5.2%
4.9%
IE
0.3%
0.3%
0.2%
0.3%
0.1%
0.2%
0.2%
0.2%
22.5%
21.8%
22.3%
21.5%
67.2%
67.7%
66.4%
69.1%
6.5%
6.7%
6.6%
5.4%
3.4%
3.4%
4.3%
3.6%
IT
0.6%
0.4%
0.4%
0.4%
1.5%
1.6%
1.6%
1.5%
17.6%
18.1%
18.4%
18.4%
67.0%
66.5%
67.3%
67.7%
6.5%
7.0%
5.6%
5.4%
6.8%
6.5%
6.8%
6.6%
LT
1.8%
1.7%
1.6%
1.5%
0.0%
0.0%
0.0%
0.0%
7.1%
6.2%
5.3%
4.8%
88.3%
89.0%
89.8%
90.5%
0.8%
0.9%
0.8%
0.7%
2.0%
2.2%
2.5%
LU
0.0%
0.0%
0.0%
0.0%
2.6%
3.1%
2.4%
1.9%
13.7%
20.5%
21.7%
20.9%
79.8%
72.8%
71.9%
73.1%
1.1%
1.3%
0.8%
1.1%
2.8%
2.2%
3.2%
3.0%
LV
1.1%
0.9%
0.9%
1.0%
0.3%
0.2%
0.2%
0.2%
21.3%
24.2%
24.6%
22.5%
75.0%
71.8%
71.9%
74.0%
0.5%
0.9%
0.8%
0.7%
2.0%
2.0%
1.7%
1.6%
NL
0.1%
4.9%
4.1%
3.9%
NO
0.1%
0.1%
0.1%
0.1%
0.3%
0.3%
0.3%
0.2%
10.6%
10.4%
10.6%
11.0%
79.1%
80.1%
81.2%
80.0%
8.1%
7.7%
6.2%
7.3%
1.8%
1.4%
1.5%
1.4%
PL
1.8%
1.3%
1.3%
1.4%
0.3%
0.2%
0.2%
0.2%
19.7%
19.5%
20.0%
20.8%
72.1%
72.6%
72.7%
71.9%
2.3%
2.4%
1.8%
1.8%
3.8%
4.0%
3.9%
3.8%
PT
0.1%
0.7%
0.1%
10.7%
10.6%
74.9%
74.5%
77.7%
78.2%
7.1%
8.2%
16.9%
16.8%
17.6%
17.9%
68.2%
68.2%
67.8%
68.5%
2.6%
0.2%
0.2%
0.2%
0.2%
25.8%
25.8%
25.5%
24.7%
68.2%
68.2%
68.8%
69.3%
0.2%
0.3%
0.2%
0.2%
3.1%
3.2%
3.0%
3.0%
1.8%
2.1%
1.8%
1.6%
11.2%
11.1%
11.0%
10.7%
72.9%
71.4%
75.5%
75.2%
11.2%
12.2%
8.8%
9.3%
2.9%
3.2%
2.8%
3.1%
T02_1
T02_1
201412
1.6%
T02_1
201503
0.1%
2.2%
T02_1
201506
0.2%
T02_3
201509
0.2%
2.5%
2.4%
T02_3
201412
0.2%
2.1%
T02_3
201503
22.3%
14.7%
T02_3
201506
24.7%
14.3%
T02_2
201509
24.2%
14.6%
T02_2
201412
23.5%
14.6%
T02_2
201503
72.9%
62.7%
T02_2
201506
70.1%
61.7%
70.7%
71.7%
64.5%
64.3%
T03_1
201509
0.7%
14.0%
0.7%
15.2%
T03_1
T03_1
201412
1.5%
0.7%
12.1%
0.6%
12.7%
T03_1
9.4%
T03_1
9.4%
2.5%
6.1%
9.6%
2.5%
6.0%
T03_1
201503
Assets
T03_1
201506
8.5%
2.5%
6.2%
2.5%
6.1%
T03_1
201509
Loans and advances
Volumes bln EUR; %
Volumes; bln EUR
Total Assets
AT
1.4%
5.0%
0.1%
0.3%
1.8%
6.3%
2.3%
1.7%
1.6%
6.3%
0.1%
0.2%
2.9%
10.9%
2.3%
1.7%
2.9%
11.5%
0.1%
0.2%
3.2%
0.9%
2.4%
1.5%
3.1%
1.1%
0.1%
0.3%
0.7%
1.4%
SE
EU
0.7%
1.3%
RO
SK
0.7%
0.1%
2.5%
Share of financial assets held for trading
Share of fair value level 3 to total fair valued assets
AT
Dec‐14
513.8
Mar‐15
527.4
Jun‐15
517.9
Sep‐15
519.1
8.6%
BE
596.4
650.3
630.9
630.0
0.8%
BG
15.2
15.4
15.5
16.0
CY
37.8
39.7
39.1
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
709.0
727.8
707.3
704.3
4.1%
4.4%
3.6%
3.5%
3.8%
3.0%
3.7%
3.2%
BE
1,025.2
1,099.2
1,023.7
1,020.2
8.8%
10.0%
8.2%
7.8%
8.6%
8.2%
8.5%
BG
17.9
18.4
18.6
19.1
0.6%
1.0%
0.7%
0.7%
3.4%
2.4%
0.8%
CY
47.5
47.9
46.3
45.0
0.1%
0.2%
0.1%
0.1%
1.7%
1.0%
0.5%
0.7%
38.6
CZ
99.2
103.9
103.7
107.3
4.3%
4.6%
4.0%
4.2%
2.8%
2.7%
2.9%
2.9%
CZ
68.2
71.8
73.1
76.7
DE
4,096.9
4,501.2
4,102.6
4,148.2
29.8%
32.0%
27.7%
27.6%
2.9%
2.9%
2.9%
2.8%
DE
2,243.3
2,395.9
2,335.3
2,358.3
DK
715.6
745.8
708.0
688.7
21.1%
20.9%
17.3%
16.7%
0.4%
0.5%
0.5%
0.4%
DK
502.6
525.5
520.9
509.9
3,196.2
3,342.9
3,354.1
ES
2,116.6
2,215.7
2,256.5
2,274.3
ES
3,368.9
8.7%
9.3%
8.2%
8.2%
1.3%
1.1%
1.2%
1.0%
FI
472.6
518.5
487.2
487.6
42.5%
44.2%
39.6%
38.7%
1.1%
1.3%
1.3%
1.2%
FI
277.9
292.6
309.7
310.2
FR
6,929.0
7,371.9
6,891.4
6,731.7
26.4%
28.8%
25.3%
24.8%
2.8%
2.6%
2.8%
2.9%
FR
4,178.7
4,329.6
4,260.9
4,193.1
GB
7,683.4
8,656.2
7,902.4
7,795.9
30.1%
31.7%
27.1%
27.6%
2.6%
GB
4,490.4
4,992.6
4,792.1
4,636.6
GR
349.0
354.3
341.8
336.3
2.9%
3.3%
2.8%
3.0%
1.5%
1.4%
1.5%
1.5%
GR
237.2
239.3
227.1
220.8
HR
34.3
34.5
35.2
37.1
0.7%
1.3%
1.1%
1.0%
1.9%
1.5%
1.9%
2.0%
HR
28.7
28.7
29.1
31.1
HU
48.6
57.7
55.1
55.4
2.8%
3.4%
3.4%
3.3%
0.8%
0.5%
0.6%
0.5%
HU
36.2
42.6
39.4
IE
308.6
310.4
314.1
288.1
4.4%
4.7%
4.6%
3.8%
3.0%
2.9%
2.9%
3.0%
IE
207.3
210.2
208.7
199.0
IT
1,524.4
1,576.2
1,555.3
1,554.2
IT
2,275.8
2,371.5
2,312.7
2,296.5
9.1%
9.9%
2.7%
2.5%
2.8%
38.7
8.5%
8.3%
3.4%
3.2%
3.3%
3.4%
LT
16.8
16.7
16.6
17.0
2.5%
2.4%
2.0%
1.8%
0.0%
0.0%
0.0%
0.0%
LT
14.8
14.9
14.9
15.3
LU
238.5
300.3
279.4
290.9
1.6%
2.1%
1.7%
2.0%
1.2%
0.8%
0.7%
0.8%
LU
190.4
218.7
200.9
212.5
9.5
9.5
10.1
12.9
13.2
13.2
13.6
4.0%
4.1%
LV
9.7
NL
2,134.2
2,290.1
2,169.1
2,171.1
10.6%
11.7%
10.0%
9.9%
2.4%
2.3%
2.4%
2.3%
NL
1,598.9
1,707.1
1,685.5
1,698.0
NO
361.0
393.5
370.2
357.1
23.1%
17.2%
17.5%
17.3%
11.9%
14.9%
13.7%
13.9%
NO
285.7
315.1
300.7
285.9
LV
4.0%
3.0%
0.1%
0.1%
0.0%
0.0%
PL
128.1
134.6
133.2
131.9
3.1%
3.2%
2.7%
3.0%
1.4%
1.4%
1.4%
1.3%
PL
92.3
97.7
96.9
94.8
PT
310.8
308.9
307.3
299.9
2.0%
2.3%
2.0%
1.8%
24.5%
23.3%
22.9%
22.9%
PT
212.0
210.8
208.4
205.4
RO
32.0
32.6
34.5
34.5
0.8%
1.0%
1.1%
0.8%
1.0%
1.0%
0.9%
1.1%
RO
21.8
22.2
23.7
24.0
SE
1,466.1
1,591.0
1,537.5
1,522.6
22.6%
24.1%
21.0%
20.6%
0.7%
0.7%
0.7%
0.8%
SE
1,068.3
1,136.0
1,161.3
1,144.8
SK
25.0
16.1
16.6
17.4
SK
EU
34.3
31,148.5
23.0
33,639.5
23.5
31,649.2
24.3
31,500.3
0.8%
21.4%
0.8%
23.1%
0.7%
19.8%
0.7%
19.9%
1.5%
2.9%
2.7%
2.7%
2.1%
2.9%
1.6%
2.8%
EU
19,533.5
20,765.7
20,405.1
20,242.9
Individual country data includes subsidiaries, which are excluded from EU aggregate. For example, at country level the subsidiary in country X of a bank domiciled in country Y is included both in data for countries X and Y (for the latter as part of the consolidated entity). In the EU aggregate, only the consolidated entity domiciled in country Y is considered. The sample of banks is unbalanced and reviewed annually.
28
Statistical Annex
Liability composition and volumes
Liabilities composition
% of total liabilities
Debt securities issued
Deposits from credit institutions
Customer deposits (*)
Other liabilities (**)
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
AT
16.2%
15.5%
15.2%
14.8%
14.7%
14.4%
14.3%
14.3%
58.5%
58.1%
60.0%
60.5%
10.6%
12.1%
10.5%
10.4%
BE
18.8%
19.3%
19.0%
18.5%
11.0%
11.1%
11.1%
11.9%
47.8%
47.3%
50.6%
50.2%
22.5%
22.3%
19.3%
19.4%
BG
1.0%
0.9%
0.9%
0.7%
10.2%
8.8%
8.5%
7.9%
86.9%
87.9%
88.3%
89.3%
2.0%
2.4%
2.2%
2.1%
CY
0.4%
0.4%
0.4%
0.5%
1.2%
1.2%
1.4%
1.3%
75.3%
76.8%
79.0%
82.8%
23.0%
21.5%
19.1%
15.4%
CZ
3.8%
3.8%
4.0%
3.6%
8.3%
9.2%
9.5%
11.9%
81.8%
80.2%
80.5%
78.5%
6.1%
6.7%
6.0%
6.0%
DE
18.8%
18.0%
19.4%
19.5%
13.5%
13.8%
14.1%
13.8%
35.2%
32.7%
36.4%
35.7%
32.5%
35.5%
30.1%
31.0%
DK
49.8%
49.3%
51.8%
52.8%
5.9%
6.1%
24.3%
23.5%
25.1%
25.3%
20.0%
19.7%
16.3%
15.8%
ES
14.5%
14.3%
14.1%
14.0%
10.0%
9.6%
8.9%
9.5%
59.0%
58.4%
59.9%
59.5%
16.5%
17.7%
17.0%
FI
17.7%
15.0%
14.7%
15.0%
17.8%
19.0%
22.4%
20.6%
31.8%
30.4%
33.4%
33.5%
32.7%
35.6%
29.6%
30.8%
FR
18.9%
18.4%
19.0%
18.4%
7.9%
8.0%
7.4%
7.5%
44.4%
43.4%
46.2%
46.9%
28.8%
30.2%
27.3%
27.2%
GB
10.5%
10.1%
10.6%
10.4%
6.2%
6.4%
6.0%
5.7%
53.7%
52.1%
55.7%
55.2%
29.6%
31.5%
27.7%
28.8%
GR
2.4%
2.2%
2.1%
2.1%
8.7%
2.3%
1.9%
2.1%
64.9%
55.0%
49.5%
50.0%
24.0%
40.4%
46.5%
45.8%
HR
0.5%
0.4%
0.4%
0.4%
22.5%
20.0%
20.8%
18.9%
74.4%
75.8%
75.4%
76.1%
2.7%
3.8%
3.4%
4.6%
HU
4.3%
3.5%
3.6%
3.5%
8.4%
10.7%
11.1%
10.1%
77.7%
76.0%
76.3%
77.4%
9.7%
9.8%
9.0%
8.9%
IE
21.3%
19.1%
20.4%
18.5%
9.0%
9.4%
9.3%
8.8%
57.0%
57.7%
57.9%
61.4%
12.7%
13.8%
12.3%
11.2%
IT
22.6%
21.2%
21.0%
20.7%
6.9%
8.0%
7.6%
7.6%
50.3%
50.7%
52.4%
53.0%
20.2%
20.1%
18.9%
18.8%
7.5%
6.8%
17.0%
LT
0.4%
0.3%
0.3%
0.3%
17.5%
16.1%
14.6%
15.6%
79.8%
78.3%
80.3%
79.3%
2.3%
5.4%
4.9%
LU
14.2%
12.7%
14.1%
13.4%
39.7%
42.3%
38.2%
40.9%
40.6%
39.4%
42.3%
40.5%
5.5%
5.6%
5.4%
5.2%
LV
4.0%
4.7%
4.1%
4.4%
9.3%
8.8%
9.3%
8.9%
84.7%
82.9%
83.4%
83.4%
2.0%
3.7%
3.2%
3.3%
4.9%
NL
28.3%
28.2%
28.4%
27.8%
3.7%
4.1%
4.0%
4.1%
54.8%
53.1%
55.5%
55.8%
13.3%
14.6%
12.1%
12.3%
NO
34.9%
34.8%
34.0%
34.7%
12.7%
12.6%
13.1%
11.9%
41.7%
41.0%
42.6%
41.7%
10.6%
11.7%
10.3%
11.8%
PL
4.7%
4.9%
4.8%
5.0%
4.1%
7.6%
8.3%
8.0%
81.1%
81.3%
80.8%
81.8%
10.1%
6.3%
6.1%
5.3%
PT
11.2%
10.8%
10.3%
10.1%
3.9%
4.2%
5.2%
4.9%
70.4%
71.3%
71.2%
73.0%
14.4%
13.6%
13.4%
12.1%
14.6%
14.8%
RO
0.8%
0.7%
0.7%
0.7%
14.2%
11.7%
82.3%
81.8%
82.3%
84.5%
2.2%
2.6%
2.8%
3.0%
SE
42.9%
40.6%
41.7%
42.5%
5.7%
6.5%
6.7%
6.0%
34.4%
34.1%
35.6%
35.0%
17.0%
18.8%
15.9%
16.5%
SK
10.3%
8.4%
8.1%
7.9%
6.0%
3.7%
4.1%
4.6%
81.2%
84.8%
85.0%
84.9%
2.5%
3.1%
2.8%
2.6%
EU
19.1%
18.4%
19.0%
18.8%
8.0%
8.2%
7.9%
7.9%
48.3%
46.9%
49.7%
49.5%
24.6%
26.4%
23.3%
23.8%
(*) Customer deposits include deposits from non financial corporations, households, other financial institutions and general governments.
(**) Also includes deposits from central banks.
T05_1
T05_1
T05_1
T05_1
T05_1
T05_1
T05_1
201412
201503
201506
T05_1
T04_2
201509
T04_2
201412
T04_2
201503
T04_2
201506
201509
Share of secured funding
Total Liabilities
% of debt securities issued
Volumes; bln EUR
AT
Dec‐14
659.8
Mar‐15
676.2
Jun‐15
656.1
Sep‐15
653.3
AT
Dec‐14
26.7%
Mar‐15
31.6%
Jun‐15
34.1%
Sep‐15
35.9%
BE
968.2 1,040.0
965.2
960.1
BE
25.4%
23.6%
25.3%
26.1%
BG
15.5
15.9
16.3
16.7
BG
0.0%
0.0%
0.0%
0.0%
CY
42.4
42.7
41.2
40.1
CY
0.0%
0.0%
0.0%
0.0%
CZ
88.3
92.4
93.5
96.5
CZ
69.3%
68.7%
65.3%
70.1%
DE
3,907.0 4,302.9 3,903.9 3,956.7
DE
28.6%
26.8%
26.2%
24.7%
DK
681.3
652.4
DK
89.4%
89.1%
89.8%
89.8%
ES
2,963.9 3,092.4 3,107.2 3,121.0
ES
52.8%
50.7%
50.7%
50.6%
FI
453.3
464.7
FI
35.0%
39.7%
41.8%
42.3%
FR
6,535.7 6,965.1 6,493.0 6,332.4
FR
18.4%
25.2%
23.6%
26.7%
GB
7,224.2 8,150.7 7,399.5 7,293.0
GB
19.7%
18.4%
19.2%
18.6%
GR
317.3
323.2
316.5
310.0
GR
20.6%
19.5%
20.0%
20.9%
HR
29.1
29.3
30.0
32.3
HR
0.0%
0.0%
0.0%
0.0%
HU
43.4
51.6
49.2
49.5
HU
5.9%
6.0%
11.5%
11.7%
IE
284.0
285.7
286.5
260.7
IE
66.7%
72.4%
76.3%
74.7%
IT
2,118.4 2,207.9 2,148.6 2,129.9
IT
21.8%
22.2%
22.9%
27.7%
LT
14.5
14.5
14.3
14.7
LT
0.0%
0.0%
0.0%
0.0%
LU
217.4
277.5
257.2
269.1
LU
0.1%
7.0%
6.7%
LV
11.1
11.4
11.4
11.8
LV
0.0%
0.0%
0.0%
0.0%
NL
2,022.0 2,172.3 2,058.4 2,059.3
NL
18.8%
17.3%
17.6%
17.4%
NO
338.7
NO
56.0%
53.3%
58.1%
52.1%
710.4
498.9
368.3
671.7
466.7
344.3
332.3
6.6%
PL
111.8
117.0
116.4
114.8
PL
1.9%
5.7%
5.4%
9.4%
PT
288.7
285.6
285.1
277.7
PT
25.4%
29.8%
31.3%
32.9%
RO
28.8
29.2
30.7
30.5
RO
0.0%
0.0%
0.0%
0.0%
SE
1,393.6 1,521.7 1,465.5 1,450.1
SE
46.2%
46.1%
45.9%
45.6%
SK
30.6
22.0
SK
89.3%
83.0%
85.2%
85.4%
EU
29,310.0 31,697.7 29,727.8 29,572.6
20.7
21.2
EU
31.7%
32.4%
32.6%
33.3%
29
Statistical Annex
Risk‐weighted asset composition and break‐down of asset quality data
RWA composition
% of total RWA
Credit risk capital requirements (excl. securitisation)
Securitisation capital requirements
Market risk capital requirements
Operational risk capital requirements
Other capital requirements
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
AT
86.0%
85.4%
85.8%
86.3%
0.4%
0.2%
0.2%
0.2%
3.1%
4.0%
3.4%
2.7%
9.5%
9.4%
9.7%
10.1%
1.0%
1.0%
0.9%
0.8%
BE
82.1%
82.3%
81.7%
81.4%
2.4%
2.3%
2.3%
2.3%
2.6%
2.7%
2.9%
3.1%
7.3%
7.1%
7.4%
7.5%
5.6%
5.7%
5.7%
5.6%
BG
91.1%
90.4%
90.9%
90.7%
0.1%
0.1%
0.2%
0.1%
0.4%
0.5%
0.3%
0.4%
8.3%
8.9%
8.6%
8.6%
0.0%
0.1%
0.0%
0.2%
CY
89.6%
90.0%
89.4%
89.0%
0.0%
0.0%
0.0%
0.0%
0.1%
0.0%
0.1%
0.6%
10.1%
9.9%
10.2%
10.2%
0.2%
0.1%
0.3%
0.2%
CZ
81.9%
82.0%
82.5%
82.5%
0.0%
0.0%
0.0%
0.0%
3.7%
3.9%
3.9%
3.8%
13.3%
12.8%
12.8%
12.8%
1.1%
1.2%
0.8%
0.9%
DE
73.2%
72.5%
72.5%
72.3%
3.7%
3.7%
3.7%
3.5%
9.3%
9.8%
9.5%
9.4%
10.2%
10.3%
11.0%
11.6%
3.7%
3.7%
3.2%
3.3%
DK
81.5%
81.8%
79.7%
80.8%
0.3%
0.3%
0.2%
0.2%
8.4%
8.0%
10.6%
9.3%
8.0%
8.0%
8.0%
8.5%
1.8%
1.9%
1.5%
1.2%
ES
84.9%
85.6%
85.5%
85.9%
0.7%
0.6%
0.5%
0.5%
4.1%
3.9%
3.9%
3.7%
9.5%
9.1%
9.3%
9.2%
0.8%
0.9%
0.8%
0.8%
2.5%
FI
82.6%
82.4%
81.9%
82.8%
0.4%
0.3%
0.3%
0.2%
6.5%
6.6%
7.2%
5.9%
8.0%
8.1%
8.4%
8.6%
2.4%
2.6%
2.2%
FR
83.5%
83.6%
83.7%
83.9%
1.7%
1.6%
1.7%
1.5%
3.5%
3.6%
3.4%
3.1%
9.3%
9.1%
9.2%
9.5%
2.1%
2.1%
2.0%
2.0%
GB
67.7%
67.8%
68.5%
69.5%
1.8%
1.6%
1.4%
1.4%
11.9%
12.2%
11.7%
11.8%
9.6%
9.4%
9.8%
10.2%
9.1%
9.1%
8.6%
7.1%
GR
90.4%
91.0%
90.4%
90.2%
0.1%
0.1%
0.1%
0.1%
2.4%
2.3%
2.6%
2.8%
6.8%
6.4%
6.6%
6.7%
0.2%
0.2%
0.3%
0.2%
HR
88.1%
88.3%
88.5%
86.6%
0.0%
0.0%
0.0%
0.0%
1.4%
1.0%
1.0%
3.1%
10.4%
10.6%
10.4%
9.9%
0.0%
0.1%
0.1%
0.4%
0.4%
HU
80.9%
79.9%
81.3%
81.0%
0.0%
0.0%
0.0%
0.0%
5.1%
5.7%
4.3%
4.6%
13.5%
13.7%
13.9%
14.0%
0.5%
0.6%
0.5%
IE
89.6%
90.0%
90.0%
90.6%
0.6%
0.6%
0.6%
0.6%
0.7%
0.9%
1.0%
0.7%
5.7%
5.6%
5.8%
6.0%
3.4%
2.9%
2.6%
2.2%
IT
84.8%
84.5%
85.2%
85.4%
0.8%
0.8%
0.8%
0.8%
4.3%
4.8%
4.2%
3.9%
9.1%
8.8%
8.9%
9.0%
1.0%
1.0%
0.9%
0.9%
LT
83.7%
89.5%
89.5%
89.6%
0.0%
0.0%
0.0%
0.0%
7.9%
1.5%
1.5%
1.5%
8.3%
9.0%
9.0%
8.9%
0.0%
0.0%
0.0%
0.0%
LU
89.4%
89.9%
91.1%
91.0%
2.0%
1.6%
0.5%
0.5%
0.6%
0.7%
0.6%
0.6%
7.2%
6.9%
7.0%
7.1%
0.8%
0.9%
0.8%
0.8%
LV
88.1%
87.4%
87.2%
86.6%
0.0%
0.0%
0.0%
0.0%
1.3%
1.7%
1.5%
1.8%
10.7%
10.9%
11.3%
11.7%
0.0%
0.0%
0.0%
0.0%
NL
82.7%
83.1%
83.0%
82.3%
1.1%
1.0%
1.0%
0.9%
3.0%
2.8%
2.6%
2.6%
11.5%
11.3%
12.0%
12.8%
1.6%
1.7%
1.4%
1.4%
15.3%
NO
73.3%
76.4%
74.5%
74.8%
1.6%
1.3%
1.2%
1.4%
1.5%
1.3%
1.3%
1.3%
7.3%
7.3%
7.3%
7.1%
16.4%
13.7%
15.6%
PL
89.0%
89.2%
89.7%
90.1%
0.0%
0.0%
0.0%
0.0%
2.6%
2.6%
2.3%
2.0%
7.4%
7.3%
7.2%
7.1%
1.0%
1.0%
0.9%
0.9%
PT
88.1%
88.2%
88.3%
88.0%
1.3%
1.2%
1.3%
1.3%
2.2%
3.0%
3.0%
3.0%
6.0%
5.8%
5.9%
6.1%
2.4%
1.9%
1.6%
1.5%
RO
81.8%
81.8%
82.5%
82.4%
0.0%
0.0%
0.0%
0.0%
4.8%
4.5%
4.6%
4.7%
13.3%
13.5%
12.6%
12.6%
0.2%
0.2%
0.2%
0.2%
SE
81.9%
81.5%
79.5%
80.2%
0.3%
0.2%
0.1%
0.2%
5.1%
5.6%
6.2%
5.4%
10.9%
10.9%
11.2%
11.3%
1.7%
1.8%
3.0%
2.9%
SK
87.7%
84.8%
89.2%
84.3%
0.0%
0.0%
0.0%
0.0%
1.0%
1.0%
1.0%
1.7%
10.5%
10.4%
9.1%
13.2%
0.9%
3.8%
0.7%
0.7%
EU
78.1%
77.9%
78.2%
78.7%
1.6%
1.5%
1.4%
1.3%
6.7%
7.1%
6.8%
6.6%
9.4%
9.3%
9.6%
9.9%
4.1%
4.2%
3.9%
3.5%
T08_1
T08_1
T08_1
201412
T08_1
T08_1
201503
T08_1
T08_1
201506
T08_1
201509
T09_1
NPL Ratio (weighted average)
T09_1
T09_1
201412
T09_1
T09_1
201503
T09_1
T09_1
201506
T09_1
201509
Coverage ratio of NPLs (weighted average)
%
%
AT
Dec‐14
8.0%
Mar‐15
8.0%
Jun‐15
7.7%
Sep‐15
7.4%
AT
Dec‐14
53.3%
Mar‐15
53.1%
Jun‐15
54.7%
Sep‐15
54.7%
BE
4.3%
4.0%
4.0%
3.9%
BE
41.2%
42.4%
41.6%
42.6%
BG
13.9%
14.8%
13.1%
12.7%
BG
53.0%
53.6%
54.2%
54.9%
CY
50.8%
49.5%
49.6%
50.0%
CY
30.7%
31.6%
32.3%
33.9%
CZ
4.5%
4.2%
3.7%
3.4%
CZ
59.4%
60.7%
60.0%
59.6%
DE
3.7%
3.5%
3.4%
3.2%
DE
34.6%
35.4%
34.8%
35.4%
DK
3.9%
3.7%
3.5%
3.6%
DK
36.3%
36.3%
36.0%
32.7%
ES
8.0%
7.6%
7.1%
6.8%
ES
45.1%
45.7%
46.1%
46.3%
FI
1.6%
1.6%
1.5%
1.4%
FI
32.0%
31.0%
30.5%
32.4%
FR
4.2%
4.3%
4.2%
4.2%
FR
51.8%
50.9%
51.3%
51.6%
GB
3.2%
2.9%
2.7%
2.5%
GB
37.3%
34.0%
33.4%
31.3%
GR
39.7%
40.0%
42.0%
43.5%
GR
43.8%
43.6%
47.7%
47.6%
HR
13.7%
14.5%
14.4%
13.6%
HR
52.9%
53.6%
54.9%
56.2%
HU
19.4%
16.6%
15.9%
16.0%
HU
56.9%
54.8%
55.4%
57.7%
IE
23.9%
22.2%
21.5%
20.6%
IE
42.6%
41.9%
41.1%
40.8%
IT
17.0%
16.7%
16.8%
16.9%
IT
45.2%
45.0%
45.2%
45.1%
LT
6.3%
6.4%
6.0%
5.5%
LT
31.0%
30.9%
31.0%
31.5%
LU
1.5%
1.6%
1.6%
1.5%
LU
38.7%
36.0%
40.8%
41.9%
LV
6.3%
6.2%
5.5%
4.9%
LV
37.6%
34.3%
31.8%
32.9%
NL
3.3%
3.2%
2.9%
2.8%
NL
37.7%
36.3%
37.3%
38.7%
NO
1.6%
1.4%
1.3%
1.3%
NO
34.8%
39.0%
39.2%
42.7%
PL
7.3%
6.9%
6.8%
7.3%
PL
59.5%
59.0%
59.4%
57.8%
PT
17.2%
18.1%
18.1%
18.5%
PT
35.5%
37.2%
39.5%
39.2%
RO
22.2%
21.2%
16.7%
16.1%
RO
65.7%
66.7%
64.1%
66.6%
SE
1.2%
1.2%
1.1%
1.0%
SE
30.8%
30.2%
29.0%
30.6%
SK
5.4%
5.3%
5.1%
4.8%
54.2%
55.2%
55.8%
57.4%
EU
6.4%
6.2%
6.0%
5.9%
SK
EU
43.2%
42.9%
43.6%
43.6%
30
Statistical Annex
Profitability analysis
Decomposition of the RoE
%
RoE
(Return on Equity)
NoP / Assets (asset yield contribution)
Assets / Equity
(leverage contribution)
Sep‐15
Dec‐14
Mar‐15
Jun‐15
EbT / NoP
(operating contribution)
Sep‐15
Dec‐14
Mar‐15
Jun‐15
NP / EbT*
(tax effect on the capital yield)
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐14
Mar‐15
Jun‐15
Sep‐15
AT
‐1.6%
6.6%
7.6%
7.0%
3.1%
2.9%
3.0%
2.9% 14.01 14.25 14.10 14.10
3.6%
23.2%
25.7%
23.4%
‐104.9%
68.7%
68.8%
72.1%
BE
6.2%
5.4%
8.8%
8.8%
1.5%
1.7%
1.8%
1.7% 18.31 18.27 17.74 17.46
29.4%
23.1%
35.7%
38.3%
74.2%
77.4%
76.3%
75.1%
BG
12.0%
16.7%
15.6%
15.6%
5.8%
5.4%
5.5%
5.4% 7.49 7.42 7.67 7.61
31.0%
45.8%
41.4%
42.1%
89.6%
89.9%
89.8%
89.9%
CY
‐9.3%
5.1%
3.3%
‐5.0%
4.2%
3.9%
4.6%
3.6% 9.82 9.31 9.16 9.23
‐0.4%
20.4%
12.0%
‐9.0%
‐5551.0%
69.2%
65.7%
31.1%
82.8%
CZ
13.8%
14.3%
14.7%
14.6%
3.8%
3.7%
3.8%
3.7% 9.13 9.12 9.61 9.53
48.8%
50.8%
49.1%
50.0%
82.2%
82.8%
82.7%
DE
2.3%
4.8%
5.5%
1.1%
1.5%
1.8%
1.8%
1.7% 22.46 22.15 21.10 21.61
15.1%
20.9%
21.9%
9.4%
44.4%
57.9%
66.2%
30.2%
DK
3.4%
9.7%
10.9%
8.9%
1.2%
1.3%
1.4%
1.3% 21.18 20.95 20.18 19.91
19.6%
46.9%
50.9%
44.8%
68.4%
79.0%
78.3%
76.7%
ES
7.1%
9.7%
10.0%
8.5%
2.9%
3.1%
3.1%
3.1% 14.32 13.54 13.67 13.67
21.7%
30.5%
27.7%
24.5%
78.6%
76.5%
84.6%
81.9%
FI
8.9%
12.0%
10.8%
10.6%
1.0%
1.1%
1.1%
1.1% 24.14 25.45 24.08 22.73
46.0%
52.8%
52.2%
53.0%
77.2%
78.8%
75.8%
78.9%
70.4%
FR
4.7%
6.2%
7.5%
7.5%
2.0%
2.1%
2.2%
2.1% 18.15 17.89 17.46 17.34
18.6%
23.7%
27.9%
28.6%
69.4%
69.4%
69.4%
GB
3.7%
6.6%
6.8%
6.6%
2.0%
2.0%
2.2%
2.1% 17.89 16.94 16.20 16.09
20.0%
28.2%
25.0%
24.6%
52.3%
68.7%
75.7%
78.6%
GR
‐11.1%
‐5.5%
‐38.8%
‐21.1%
2.9%
2.8%
2.9%
2.8% 11.44 11.19 12.10 11.80
‐71.6%
‐16.8%
‐141.0%
‐107.8%
152.9%
95.0%
121.0%
141.6%
121.4%
HR
6.9%
5.9%
6.7%
‐3.1%
4.2%
3.8%
4.1%
4.2% 6.57 6.58 6.66 7.13
31.0%
29.3%
30.1%
‐13.2%
80.1%
80.2%
81.0%
HU
‐12.4%
‐0.1%
5.6%
5.2%
7.4%
4.7%
5.2%
5.4% 8.52 9.47 9.40 9.39
‐24.1%
‐2.7%
14.1%
12.1%
117.5%
192.2%
82.2%
84.5%
IE
6.1%
6.7%
7.4%
8.8%
1.8%
1.9%
2.0%
2.0% 13.00 12.57 11.93 11.49
32.1%
54.8%
45.2%
50.3%
81.6%
51.0%
67.9%
74.8%
IT
‐3.7%
6.5%
4.4%
3.9%
2.8%
3.0%
2.9%
2.8% 14.57 14.48 14.27 14.11
‐10.4%
22.5%
15.8%
14.4%
113.0%
67.8%
65.8%
68.0%
LT
8.3%
7.4%
6.8%
7.2%
2.8%
2.5%
2.5%
2.5% 7.33 7.46 7.36 7.37
48.1%
46.5%
44.1%
45.7%
83.0%
84.8%
85.5%
85.7%
LU
7.6%
7.0%
7.1%
7.2%
1.9%
1.6%
1.7%
1.6% 11.33 13.02 12.61 13.03
43.9%
43.7%
42.3%
42.6%
78.8%
76.2%
79.3%
78.8%
LV
11.1%
11.7%
12.4%
12.0%
3.3%
3.3%
3.3%
3.2% 7.11 7.32 7.23 7.23
53.1%
55.7%
59.3%
58.5%
88.1%
88.6%
87.7%
87.7%
NL
3.6%
7.1%
7.9%
9.9%
1.7%
1.8%
1.9%
1.9% 20.62 19.23 19.30 19.22
17.6%
19.8%
28.3%
35.0%
57.1%
104.1%
75.5%
79.3%
NO
13.1%
15.8%
13.6%
13.1%
1.9%
2.2%
2.1%
1.9% 16.37 15.91 15.17 15.24
56.5%
61.0%
57.6%
60.0%
75.2%
74.6%
74.6%
74.3%
PL
11.6%
15.8%
13.5%
12.5%
4.5%
4.6%
4.4%
4.4% 7.95 7.74 7.88 7.78
40.5%
54.2%
47.0%
44.8%
79.9%
82.5%
82.2%
81.5%
PT
‐5.0%
2.0%
2.4%
1.3%
2.2%
2.7%
2.6%
2.5% 14.20 13.65 13.93 13.81
‐12.7%
10.7%
9.0%
5.0%
76.3%
51.1%
74.1%
76.7%
RO
‐15.8%
17.6%
40.0%
29.8%
5.7%
5.4%
5.2%
5.4% 9.92 9.72 9.42 9.18
‐29.9%
39.5%
86.6%
65.4%
106.5%
85.6%
94.2%
92.6%
SE
12.6%
13.5%
12.6%
11.7%
1.5%
1.5%
1.5%
1.5% 20.47 21.54 20.77 20.60
50.6%
52.4%
51.3%
50.2%
79.4%
78.1%
76.5%
76.7%
SK
11.9%
13.3%
15.8%
15.0%
4.4%
4.4%
4.4%
4.3% 9.24 9.79 10.14 10.27
38.5%
40.6%
46.3%
44.8%
76.3%
76.2%
76.0%
76.0%
EU
3.5%
6.9%
6.8%
6.4%
2.1%
2.2%
2.3%
2.2% 17.62 17.14 16.70 16.63
15.3%
26.2%
24.5%
23.2%
62.9%
71.3%
74.0%
75.3%
* The RoE is decomposed according to the formula: RoE = (NoP / Asset) * (Asset / Equity) * (EbT / NoP) * (NP / EbT). In case of a negative EbT, the ratio NP / EbT is computed according to the formula (1 ‐ ((EbT ‐ NP) / ABS (EbT))) to maintain the sign of the tax effect. Therefore, the RoE decomposition adjusts to the following: RoE = (NoP / Asset) * (Asset / Equity) * (EbT / NoP) * (1+ (1‐(NP / EbT))).
31
Methodological note on the Risk Indicators' (RIs) heatmap
The heatmap provides a quick overview of the main RIs, in which it is possible to find the category, number and
designation of the specific RI, its historic development and the three buckets in which each data point is assigned to across
time (green for the “best” bucket, yellow for the intermediary one and red for the “worst” bucket). The “sample of
reporting banks” returns the actual number of banks that submitted the expected data for that reference date
(consolidated view).
For each of the RIs' quarterly data, the distribution across the three buckets is computed in respect of the sum of total
assets from all banks. Thus, if we observe any given bucket increasing its percentage, we immediately acknowledge that
more assets are being assigned to that bucket. However, this does not necessarily mean that more banks are comprised
within the bucket (the sum of total assets for all banks is fixed, as well as the total assets from each bank taken
individually).
The traffic light of each RI can assume three colours (green, yellow and red) depending on the latest developments on the
“worst” bucket of the RI comparing to the whole time series. If the “worst” bucket is progressing positively (i.e. in case
fewer assets are being assigned to it), the traffic light should be moving away from red getting closer to green. The colour
is computed considering the 33rd and the 67th percentile of the time series.
To help reading the heatmap, let us consider the example of the cost to income ratio:
< 50%
12.6%
12.2%
12.5%
13.7%
14.5%
[50% ‐ 60%] 25.0%
12.0%
32.6%
34.0%
36.3%
> 60%
62.5%
75.8%
54.9%
52.3%
49.3%
The green traffic light for the ratio points to the good behaviour of this RI in the last quarter relating to past observations. More than just declaring if the “worst” bucket has more or less percentage of assets assigned to it, this traffic light
approach delivers simultaneously an insight to the latest developments in the RI’s “worst” bucket and to the relative
position of that data point comparing to all other observations in the same bucket.
Risk Indicators in the Dashboard
Nr
Risk Indicator code
1
2
3
SVC_1
SVC_2
SVC_3
4
SVC_29
5
AQT_3.2
6
AQT_41.2
7
AQT_42.2
8
AQT_3.1
9
10
PFT_21
PFT_24
11
PFT_23
12
PFT_25
13
PFT_26
14
PFT_29
15
PFT_41
16
FND_32
17
18
Dashboard name
Data Point A*
Formula
Data Point B*
Data Point C*
Template
Row
Column
Template
Row
Column
Template
Row
Column
Tier 1 capital (A) / Total risk exposure amount (B)
C 01.00
015
010
C 02.00
010
010
Own funds (A) / Total risk exposure amount (B)
C 01.00
010
010
C 02.00
010
010
Total capital ratio
010
C 01.00
020
010
C 02.00
010
CET1 ratio
Common equity TIER 1 capital (A) / Total risk exposure amount (B)
{C 01.00(r020, c10) ‐ C 05.01(r010, c010) ‐ C 01.00(r440, c010) + MIN ([C 01.00(r530, c10) ‐ C 01.00(r740, c10) ‐ C 05.01(r010, c020) ‐ Tier 1 capital (A) / Total risk exposure amount (B) with both, numerator C 01.00(r720, c10) + MIN ([C 01.00(r750, c10) ‐ C 01.00(r970, c10) ‐ C 05.01(r010, c030)], 0)], 0)} / ( {C 02.00;r010;c010} ‐ {C CET1 ratio (fully loaded)
and denominator, being adjusted for transitional effects
05.01;r010;c040} )
Level of non‐performing loans and advances Non‐performing loans and advances (A) / Total gross loans and advances F 18.00
070, 250
060
F 18.00
070, 250
010
(NPL ratio)
(B)
Coverage ratio of non‐performing loans and Specific allowances for loans (A) / Total gross non‐performing loans and F 18.00
070, 250
150
F 18.00
070, 250
060
advances
advances (B)
Exposures with forbearance measures (A) / Total gross loans and F 19.00
070, 250
010
F 18.00
070, 250
010
Forbearance ratio for loans and advances
advances (B)
Ratio of non‐performing exposures (NPE Non‐performing debt securities and loans and advances (A) / Total gross F 18.00
330
060
F 18.00
330
010
ratio)
debt securities and loans and advances (B)
Return on equity
Profit or loss for the year (A) / Total equity (B)
F 02.00
670
010
F 01.03
300
010
F 02.00
670
010
F 01.01
380
010
Return on assets
Profit or loss for the year (A) / Total assets (B)
Administrative and depreciation expenses (A) / Total net operating Cost to income ratio
F 02.00
360, 390
010
F 02.00
355
010
income (B)
Net interest income to total operating Net interest income (A) / Total net operating income (B)
F 02.00
010, 090
010
F 02.00
355
010
income
Net fee and commission income to total Net fee and commission income (A) / Total net operating income (B)
F 02.00
200, 210
010
F 02.00
355
010
operating income
Net gains or losses on financial assets & liabilities held for trading (A) / Net trading income to total operating income
F 02.00
280
010
F 02.00
355
010
Total net operating income (B)
010, 080, 090, 120, Net interest income to interest bearing Interest income and expenses (A) / Interest earning assets (B)
F 02.00
010, 090
010
F 01.01
010
130, 160, assets
170, 180, 210 Loan‐to‐deposit ratio for households and non‐financial corporations
Total loans and advances to non‐financial corporations and households F 05.00
(A) / Total deposits to non‐financial corporations and households (B)
080
050, 060
LIQ_3
Liquid assets to short‐term liabilities
Liquid assets (A) / Total items providing stable funding in less than 12 months (B)
C 51.00
(010‐390) excl. 030
LIQ_4
Liquid assets to total items requiring stable funding
C 51.00
19
FND_12
20
FND_33
Asset encumbrance ratio
Liquid assets (A) / Total items requiring stable funding (B)
Total liabilities (A) / Total equity (B)
F 01.02
Total encumbered assets and collateral (A) / Total assets and collateral F 32.01
(B+C) **
260, 310
010, 020, 030
020 and 040 (if not available 030, C 61.00
if not available 040)
(010‐250)
(010‐040)
(010‐390) excl. 030
020 and 040 (if not available 030, C 60.00
if not available 040)
(010‐1310) excl.030
(010‐150)
300
010
F 01.03
300
010
010, 130
010
F 32.01
010
010, 060
* The data points refer either to FINREP tables ("F") or COREP tables ("C") (http://www.eba.europa.eu/regulation‐and‐policy/supervisory‐reporting/implementing‐technical‐standard‐on‐supervisory‐reporting)
** Encumbered assets (recognised on the balance sheet) are considered at their carrying value, collateral received is considered as at fair value
F 08.01
F 32.01
130
010, 040
Risk Indicators in the Statistical Annex
Annex series
Risk Indicator code
RI's parameter shown
Data Point A*
Formula
Cash balances
Equity instruments
RDB_1
RDB_2
Ratio
Ratio
Cash positions (A) / Total Assets (B)
Equity instruments (A) / Total Assets (B)
Template
F 01.01
F 01.01
Debt securities
RDB_3
Ratio
Debt securities (A) / Total Assets (B)
F 01.01
Data Point B*
Row
Column
020
010
070, 110, 150
010
080, 120, 160, 190, 010
220
Template
F 01.01
F 01.01
380
380
Row
010
010
Column
F 01.01
380
010
Loans and advances
RDB_4
Ratio
Loans and advances (A) / Total Assets (B)
F 01.01
030, 040, 090, 130, 010
170, 200, 230
F 01.01
380
010
Derivatives
RDB_5
Ratio
Derivatives (A) / Total Assets (B)
F 01.01
060, 240
010
F 01.01
380
010
Other assets
RDB_6
Ratio
Other assets (A) / Total Assets (B)
F 01.01
250, 260, 270, 300, 010
330, 360, 370
F 01.01
380
010
Total Assets
Share of financial assets held for trading
RDB_1
LIQ_13
Denominator
Ratio
Total assets (B)
Financial assets held for trading (A) / Total assets (B)
n/a
F 01.01
n/a
050
F 01.01
F 01.01
380
380
010
010
Share of fair value level 3 to total fair valued assets
AQT_22.3
Ratio
Total gross loans and advances
Debt securities issued
Deposits from credit institutions
AQT_3.2
FND_9
FND_10
Denominator
Ratio
Ratio
Customer deposits
FND_18
Other liabilities
Total liabilities
n/a
FND_18
Share of secured funding
FND_28
FND_29
Credit risk capital requirements (excl. securitisation)
Securitisation capital requirements
Market risk capital requirements
Operational risk capital requirements
Other capital requirements
NPL Ratio
Coverage ratio of NPLs
NoP / Asset (asset yield contribution)
Asset / Equity
(Leverage contribution)
EbT / NoP
(Non operating contribution)
NP / EbT
(tax effect on the capital yield)
SCV_4
SCV_6
SCV_8
SCV_9
n/a
AQT_3.2
AQT_41.2
Ratio
n/a
010
[level of FV hierarchy for assets] (A) / [sum of levels 1 to 3 for assets] (B)
F 14.00
010, 060, 100, 140 030
F 14.00
010, 060, 100, 140 010, 020, 030
Non‐performing loans and advances (A) / Total gross loans and advances (B)
Debt securities issued (A) / Total liabilities (B)
Deposits from credit institutions (A) / Total liabilities (B)
n/a
F 01.02
F 08.01
n/a
050, 090, 130
160
F 18.00
F 01.02
F 01.02
070, 250
300
300
Total deposits other than from banks (A) / Total liabilities (B)
F 08.01
110, 210, 260, 310 010, 020, 030
F 01.02
300
010
n/a
n/a
n/a
F 08.01
F 08.01
n/a
C 02.00
C 02.00
C 02.00
C 02.00
n/a
F 18.00
F 18.00
n/a
n/a
n/a
390
380
n/a
040
220, 430
520
590
n/a
070, 250
070, 250
n/a
F 01.02
n/a
n/a
n/a
n/a
C 02.00
C 02.00
C 02.00
C 02.00
n/a
F 18.00
F 18.00
n/a
300
n/a
n/a
n/a
n/a
010
010
010
010
n/a
070, 250
070, 250
n/a
010
n/a
n/a
n/a
n/a
010
010
010
010
n/a
010
060
Ratio
Residual in total liabilities
Denominator Total deposits other than from banks (A) / Total liabilities (B)
Calculated as sum (numerator FND_28 and FND_29) / numerator FND_9
Numerator
Covered bonds at cost and at fair value (A) / Total financial liabilities (B)
Numerator
Asset‐backed securities at cost and at fair value (A) / Total financial liabilities (B)
Calculated as SCV_4 ‐ SCV_6
Ratio
Credit risk capital requirements (A) / Total capital requirements (B)
Ratio
Securitisation capital requirements (A) / Total capital requirements (B)
Ratio
Market risk capital requirements (A) / Total capital requirements (B)
Ratio
Operational risk capital requirements (A) / Total capital requirements (B)
Ratio
Residual in total capital requirements
Ratio
Non‐performing loans and advances (A) / Total gross loans and advances (B)
Ratio
Specific allowances for loans (A) / Total gross non‐performing loans and advances (B)
n/a
010
010, 020, 030
n/a
n/a
n/a
010, 020, 030
010, 020, 030
n/a
010
010
010
010
n/a
060
150
010
010
010
PFT_17
Ratio
Total net operating income (A) / Total Assets (B)
F 02.00
355
010
F 01.01
380
010
PFT_18
Ratio
Total Assets (A) / Total equity (B)
F 01.01
380
010
F 01.03
300
010
PFT_19
Ratio
[Earnings before Tax = Profit or (‐) loss before tax from continuing operations (A)] / [Net operating Profit =Total operating income net (B)] F 02.00
610
010
F 02.00
355
010
PFT_20
Ratio
1 ‐ {(Earnings before Tax(B) ‐ Net Profit (A) )/ ABS [Earnings before Tax (B)]}
F 02.00
670
010
F 02.00
610
010
* The data points refer either to FINREP tables ("F") or COREP tables ("C") (http://www.eba.europa.eu/regulation‐and‐policy/supervisory‐reporting/implementing‐technical‐standard‐on‐supervisory‐reporting).
34
1
European Banking Authority
Department Oversight ‐ Risk Analysis Unit One Canada Square, Canary Wharf ‐ London E14 5AA, United Kingdom
[email protected]

EBA Dashboard - European Banking Authority

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